In the US, Jack-o-lanterns are typically common field pumpkins and many of the larger and specialty ones are actually gourds. I cannot talk to some of the gourds, so if you are looking at some of the white ghost pumpkins and they very warty ones, use may vary. But the common field pumpkin is certainly edible, but not usually be best choice. The are hard, stringy, dry, etc. To use the, I would recommend roasting, steaming, microwaving or boiling then running through a food mill to break up the stringiness. Boiling of course will remove a share of what flavor they do have. At that point, you would have a puree that could be used in cookies, pumpkin bread, cake, etc. Flavor-wise and texture, you will probably be more satisfied to use what in the US we would call winter squash, butternut is highly recommended, for savory, and pie pumpkins for dessert applications.
You can use the Jack if you simply do not wan to waste it or have some you want to use, but in my mind, roasting, grilling and such will likely lead to the least satisfying results. If you do, lots of spice, as sauce, and lean towards applications you can use a food mill. My experience is it will end put being a much less consistent flavor and more of a base for your spice though. For consistent results, go with a culinary variety. Jacks will typically give the mealy, tasteless leaning results you have encountered.
Cinderella is one variety I know that is large enough for carving but is still recommended for culinary use. It is a very stylized and gets its name from the story. If really that variety, it is of French origin and is a deep orange flesh. It looks great as a decoration on its own, can be carved and works either savory or in deserts. I have seen it grilled with just a bit of spice and olive oil and is very tasty that way. But, many people sell less tasty pumpkins as that variety just because they have the right shape.
ETA: If you have, or know someone with farm animals, they tend to love field pumpkins, as do deer.